Trabelsi Nader, Gozgor Giray, Tiwari Aviral Kumar, Hammoudeh Shawkat
Imam Mohammad Ibn Saud Islamic University (IMSIU), Saudi Arabia.
LARTIGE, University of Kairouan, Tunisia.
Res Int Bus Finance. 2021 Jan;55:101316. doi: 10.1016/j.ribaf.2020.101316. Epub 2020 Aug 21.
Using daily data, this paper examines the relationship between the returns of gold and seven sectoral indices in the Bombay Stock Exchange (BSE) for the period from January 2000 to May 2018. Given the importance of gold in India, there are significant issues in a portfolio selection in that country. By addressing the hedged robust portfolio problems, this paper focuses on three vanilla portfolio problems: the maximum return portfolio allocation, the global minimum variance portfolio problem, and the Markowitz portfolio allocation by using various multiple generalized autoregressive conditional heteroskedasticity (GARCH) models. The paper finds that gold returns are significantly independent of the returns of the BSE sectoral indices. Besides, gold returns can help predict the future returns of the Consumer Durables and the Fast-Moving Consumer Goods indices as well as the Oil & Gas equity indices. Finally, the findings also show that gold hedges against the information technology stock index and serves as a robust portfolio diversification tool. With these new results, this paper offers several implications for investors and risk management purposes.
本文利用日数据,研究了2000年1月至2018年5月期间孟买证券交易所(BSE)黄金收益率与七个行业指数之间的关系。鉴于黄金在印度的重要性,该国的投资组合选择存在重大问题。通过解决套期保值的稳健投资组合问题,本文聚焦于三个普通投资组合问题:使用各种多元广义自回归条件异方差(GARCH)模型的最大收益投资组合配置、全球最小方差投资组合问题以及马科维茨投资组合配置。本文发现黄金收益率与BSE行业指数的收益率显著独立。此外,黄金收益率有助于预测耐用消费品和快速消费品指数以及石油和天然气股票指数的未来收益率。最后,研究结果还表明,黄金对信息技术股票指数具有套期保值作用,并可作为一种稳健的投资组合多元化工具。基于这些新结果,本文为投资者和风险管理目的提供了若干启示。